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Codes and dataset for the estimation of the high-dimensional state space model proposed in the paper "A dynamic factor model approach to incorporate Big Data in state space models for official statistics" with Franz Palm, Stephan Smeekes and Jan van den Brakel. Working paper version: https://arxiv.org/abs/1901.11355 or https://www.cbs.nl/en-gb/b…
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GoogleTrends_CC.xlsx
LFS_model.R
LFS_model_with_CC.R
LFS_model_with_CC_and_GT.R
LFS_model_with_GT.R
LFS_model_with_GT_2factors.R
LFS_model_with_GT_cycle.R
LFS_model_with_GT_lags.R
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